This short novel is an interesting combination of elements – Wilde wrote it in a sort of high literary mode (that is to say, with ornate, self-consciously artistic language and heightened sense of style), but it also has elements of the classic horror story, like the suspenseful build to the final twist. In other words, it's a kind of horror story that's ascended to the level of literary horror story – other examples are Henry James's The Turn of the Screw, or basically any short story by Edgar Allan Poe.
In terms of the "literary" part, you might consider Wilde's concern with showing Dorian's thoughts in depth, as well as his exploration of Basil and Lord Henry. While it shows some levels of psychological detail, the novel is also highly symbolic and allegorical; Wilde was no stranger to metaphor. On the "horror" side, we've got the grotesque descriptions of the portrait, the terrible murder and consequent, um, disappearance of Basil Hallward, and the general ick-factor of the opium den – and, of course, the dramatic ending, shrieks and all.